第16章股指期权与货币期权摘要.ppt

* * * * * * * * Range Forward Contract continued Figure 16.1, page 348 * Payoff Asset Price K1 K2 Payoff Asset Price K1 K2 Short Position Long Position 如果该公司知道3个月后将支出而不是收入100万英镑，公司可以卖出执行价格为K1的看跌期权并同时买入执行价格为K2的看涨期权。其中K11.52K2 范围远期合约的多头 * Deriva * 16.5 货币期权的定价 Currency Options Currency options trade on NASDAQ OMX There also exists a very active over-the-counter (OTC) market Currency options are used by corporations to buy insurance when they have an FX exposure * S0为一个单位的外汇所对应的美元数量。 将不等式(16-1)和(16-2)中的q由rf代替，可以得出价格的下限 将(16-3)中的q由rf代替，可以得出平价关系式 * Valuing European Currency Options A foreign currency is an asset that provides a yield equal to rf We can use the formula for an option on a stock paying a dividend yield : S0 = current exchange rate q = r? * Formulas for European Currency Options (Equations 16.11 and 16.12, page 355) * Excel中的计算器 * The Foreign Interest Rate We denote the foreign interest rate by rf When a U.S. company buys one unit of the foreign currency it has an investment of S0 dollars The return from investing at the foreign rate is rf S0 dollars This shows that the foreign currency provides a yield at rate rf * 例16-2 考虑一个4个月期限的欧式英镑看跌期权。假定当前英镑/美元汇率为1.6000，执行价格为1.6000，美国无风险利率为每年8%，英国无风险利率为每年11%，期权价格为4.3美分。 隐含波动率为14.1%。 * * Alternative Formulas (Equations 16.13 and 16.14) * Using 16.6 美式期权 对于股指期权 对于货币期权 * The Binomial Model * S0u ?u S0d ?d S0 ? p (1 – p ) f=e-rT[pfu+(1?p)fd ] The Binomial Model continued In a risk-neutral world the asset price grows at r?q rather than at r when there is a dividend yield at rate q The probability, p, of an up movement must therefore satisfy pS0u+(1?p)S0d = S0e (r?q)T so that * 在某些时候，在到期日前执行美式货币期权是最优的。因此，美式期权的价值比相应的欧式期权的价值要高一些。 一般来讲，对高利率货币的看涨期权和低利率货币的看跌期权，在期权到期前很容易被提前行使。这是因为我们预期高利率货币相对美元可能会贬值而低利率货币相对美元可能会升值。 高股息收益率股指的看涨期权与低股息收益率的看跌期权更有可能被提前行使。 * 小结 股指期权以现金结算。在行使股指看涨期权时，期权持有人的收入为100乘以股指超出执行价格的数量。类似地，在股指看跌期权被行使时，期权持有人的而收入为100乘以执行价格超出股指价格的数量。股指期权可用来对证券组合进行保险。如果证券组合与股指有类似的收益，我们可以对于证